Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 2 2 2
Score -3.11 -2.39 -2.24
Market Cap (Millions USD) 44754.41 43889.28 42981.65
Predicted Beta 0.99 1.01 1.01
Idiosyncratic Volatility 1.77 2.34 2.49

Annualized return and volatility

IJR
Annualized Return 0.0995
Annualized Std Dev 0.2181
Annualized Sharpe (Rf=0%) 0.4563

Row

Daily Return Statistics

IJR
Observations 5010.0000
NAs 104.0000
Minimum -0.1055
Quartile 1 -0.0064
Median 0.0007
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0079
Maximum 0.0840
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0137
Skewness -0.1814
Kurtosis 4.5986

Downside Risk

IJR
Semi Deviation 0.0099
Gain Deviation 0.0093
Loss Deviation 0.0100
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0097
Downside Deviation (0%) 0.0097
Maximum Drawdown 0.5815
Historical VaR (95%) -0.0211
Historical ES (95%) -0.0314
Modified VaR (95%) -0.0216
Modified ES (95%) -0.0361
From Trough To Depth Length To Trough Recovery
2007-07-20 2009-03-09 2011-02-07 -0.5815 912 422 490
2002-04-17 2002-10-09 2003-10-14 -0.3357 386 125 261
2018-09-04 2018-12-24 NA -0.2731 336 79 NA
2011-07-08 2011-10-03 2012-02-03 -0.2658 148 62 86
2001-05-23 2001-09-21 2002-01-04 -0.2378 157 83 74

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IJR
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA 2.3 0.0 0.2 0.4 0.0 -1.0 2.5 0.0 4.5
2001 0.6 0.5 0.0 0.9 0.7 0.0 0.4 0.0 -1.8 1.4 0.0 0.0 2.7
2002 -0.9 2.1 0.0 0.3 0.0 -2.8 -0.7 0.0 2.8 2.2 0.0 0.0 3.0
2003 0.0 0.0 0.7 -0.3 0.0 0.4 -1.4 0.0 2.2 0.0 1.4 0.0 3.1
2004 0.0 2.0 0.5 0.0 0.7 -1.2 0.0 0.8 2.5 0.5 1.2 0.0 7.2
2005 0.8 0.8 -0.5 0.0 1.3 0.9 0.3 0.3 0.0 0.5 1.7 0.0 6.4
2006 0.4 1.6 0.0 -0.6 1.6 0.0 -1.1 0.5 0.0 -1.8 -0.3 0.0 0.1
2007 1.3 -0.2 0.0 0.6 0.9 0.0 0.4 0.0 2.1 -3.9 0.0 0.0 1.1
2008 2.8 0.0 3.8 1.5 0.0 0.0 0.6 0.0 0.0 0.0 -10.5 0.0 -2.6
2009 0.0 0.0 2.2 0.4 4.3 1.7 0.0 -2.2 -2.9 0.0 1.5 0.0 4.9
2010 1.0 2.2 1.1 0.0 -2.9 -0.7 0.0 3.8 0.6 -0.6 2.1 0.0 6.5
2011 2.0 -1.8 0.3 0.0 -3.0 1.6 -0.6 -2.1 0.0 -3.2 -0.6 0.0 -7.3
2012 2.1 0.6 0.0 0.1 -2.8 0.0 -1.6 0.0 0.3 1.4 0.0 0.0 0.0
2013 1.1 0.4 -1.1 -2.2 0.0 1.6 1.3 0.0 1.2 -0.4 0.0 0.0 1.8
2014 0.0 0.0 1.2 -0.2 0.0 1.2 -0.2 0.0 -1.4 0.0 -1.3 0.0 -0.8
2015 0.0 0.0 -0.1 0.6 0.4 0.5 0.0 -2.7 -0.4 0.0 0.7 0.0 -1.1
2016 -0.3 1.9 0.3 0.0 0.7 0.1 0.1 0.1 0.0 -1.4 -0.3 0.0 1.1
2017 -0.1 1.8 0.0 0.5 1.7 0.0 0.3 0.7 0.0 -0.7 -0.6 0.0 3.7
2018 0.4 -0.4 0.0 0.4 0.7 0.0 0.0 0.0 -1.5 1.9 0.0 0.0 1.5
2019 -0.1 0.6 1.2 -0.9 0.0 0.2 -1.5 0.0 -2.0 1.5 0.0 0.3 -0.7

Row

Rolling Performance Chart

Snail Trail Chart